@drift-labs/sdk 0.2.0-master.2 → 0.2.0-master.22

package/lib/idl/{mock_usdc_faucet.json → token_faucet.json}

@@ -1,23 +1,23 @@
 {
-    "version": "0.0.0",
-    "name": "mock_usdc_faucet",
+    "version": "0.1.0",
+    "name": "token_faucet",
     "instructions": [
         {
             "name": "initialize",
             "accounts": [
                 {
-                    "name": "mockUsdcFaucetState",
+                    "name": "faucetConfig",
                     "isMut": true,
                     "isSigner": false
                 },
                 {
                     "name": "admin",
-                    "isMut": false,
+                    "isMut": true,
                     "isSigner": true
                 },
                 {
                     "name": "mintAccount",
-                    "isMut": false,
+                    "isMut": true,
                     "isSigner": false
                 },
                 {
@@ -29,20 +29,20 @@
                     "name": "systemProgram",
                     "isMut": false,
                     "isSigner": false
-                }
-            ],
-            "args": [
+                },
                 {
-                    "name": "mockUsdcFaucetNonce",
-                    "type": "u8"
+                    "name": "tokenProgram",
+                    "isMut": false,
+                    "isSigner": false
                 }
-            ]
+            ],
+            "args": []
         },
         {
             "name": "mintToUser",
             "accounts": [
                 {
-                    "name": "mockUsdcFaucetState",
+                    "name": "faucetConfig",
                     "isMut": false,
                     "isSigner": false
                 },
@@ -73,11 +73,42 @@
                     "type": "u64"
                 }
             ]
+        },
+        {
+            "name": "transferMintAuthority",
+            "accounts": [
+                {
+                    "name": "faucetConfig",
+                    "isMut": false,
+                    "isSigner": false
+                },
+                {
+                    "name": "admin",
+                    "isMut": true,
+                    "isSigner": true
+                },
+                {
+                    "name": "mintAccount",
+                    "isMut": true,
+                    "isSigner": false
+                },
+                {
+                    "name": "mintAuthority",
+                    "isMut": false,
+                    "isSigner": false
+                },
+                {
+                    "name": "tokenProgram",
+                    "isMut": false,
+                    "isSigner": false
+                }
+            ],
+            "args": []
         }
     ],
     "accounts": [
         {
-            "name": "MockUSDCFaucetState",
+            "name": "FaucetConfig",
             "type": {
                 "kind": "struct",
                 "fields": [
@@ -103,17 +134,9 @@
     ],
     "errors": [
         {
-            "code": 300,
+            "code": 6000,
             "name": "InvalidMintAccountAuthority",
             "msg": "Program not mint authority"
-        },
-        {
-            "code": 301,
-            "name": "Unauthorized",
-            "msg": "Signer must be MockUSDCFaucet admin"
         }
-    ],
-    "metadata": {
-        "address": "2z2DLVD3tBWc86pbvvy5qN31v1NXprM6zA5MDr2FMx64"
-    }
+    ]
 }

package/lib/index.d.ts

@@ -1,6 +1,7 @@
 import { BN } from '@project-serum/anchor';
 import { PublicKey } from '@solana/web3.js';
-export * from './mockUSDCFaucet';
+import pyth from '@pythnetwork/client';
+export * from './tokenFaucet';
 export * from './oracles/types';
 export * from './oracles/pythClient';
 export * from './oracles/switchboardClient';
@@ -10,14 +11,19 @@ export * from './accounts/fetch';
 export * from './accounts/webSocketClearingHouseAccountSubscriber';
 export * from './accounts/bulkAccountLoader';
 export * from './accounts/bulkUserSubscription';
+export * from './accounts/bulkUserStatsSubscription';
 export * from './accounts/pollingClearingHouseAccountSubscriber';
 export * from './accounts/pollingOracleSubscriber';
 export * from './accounts/pollingTokenAccountSubscriber';
+export * from './accounts/pollingUserAccountSubscriber';
+export * from './accounts/pollingUserStatsAccountSubscriber';
 export * from './accounts/types';
 export * from './addresses/pda';
 export * from './admin';
 export * from './clearingHouseUser';
 export * from './clearingHouseUserConfig';
+export * from './clearingHouseUserStats';
+export * from './clearingHouseUserStatsConfig';
 export * from './clearingHouse';
 export * from './factory/oracleClient';
 export * from './factory/bigNum';
@@ -33,7 +39,7 @@ export * from './math/amm';
 export * from './math/trade';
 export * from './math/orders';
 export * from './math/repeg';
-export * from './orders';
+export * from './math/margin';
 export * from './orderParams';
 export * from './slot/SlotSubscriber';
 export * from './wallet';
@@ -47,4 +53,4 @@ export * from './util/tps';
 export * from './math/bankBalance';
 export * from './constants/banks';
 export * from './clearingHouseConfig';
-export { BN, PublicKey };
+export { BN, PublicKey, pyth };

package/lib/index.js

@@ -13,13 +13,18 @@ var __createBinding = (this && this.__createBinding) || (Object.create ? (functi
 var __exportStar = (this && this.__exportStar) || function(m, exports) {
     for (var p in m) if (p !== "default" && !Object.prototype.hasOwnProperty.call(exports, p)) __createBinding(exports, m, p);
 };
+var __importDefault = (this && this.__importDefault) || function (mod) {
+    return (mod && mod.__esModule) ? mod : { "default": mod };
+};
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.PublicKey = exports.BN = void 0;
+exports.pyth = exports.PublicKey = exports.BN = void 0;
 const anchor_1 = require("@project-serum/anchor");
 Object.defineProperty(exports, "BN", { enumerable: true, get: function () { return anchor_1.BN; } });
 const web3_js_1 = require("@solana/web3.js");
 Object.defineProperty(exports, "PublicKey", { enumerable: true, get: function () { return web3_js_1.PublicKey; } });
-__exportStar(require("./mockUSDCFaucet"), exports);
+const client_1 = __importDefault(require("@pythnetwork/client"));
+exports.pyth = client_1.default;
+__exportStar(require("./tokenFaucet"), exports);
 __exportStar(require("./oracles/types"), exports);
 __exportStar(require("./oracles/pythClient"), exports);
 __exportStar(require("./oracles/switchboardClient"), exports);
@@ -29,14 +34,19 @@ __exportStar(require("./accounts/fetch"), exports);
 __exportStar(require("./accounts/webSocketClearingHouseAccountSubscriber"), exports);
 __exportStar(require("./accounts/bulkAccountLoader"), exports);
 __exportStar(require("./accounts/bulkUserSubscription"), exports);
+__exportStar(require("./accounts/bulkUserStatsSubscription"), exports);
 __exportStar(require("./accounts/pollingClearingHouseAccountSubscriber"), exports);
 __exportStar(require("./accounts/pollingOracleSubscriber"), exports);
 __exportStar(require("./accounts/pollingTokenAccountSubscriber"), exports);
+__exportStar(require("./accounts/pollingUserAccountSubscriber"), exports);
+__exportStar(require("./accounts/pollingUserStatsAccountSubscriber"), exports);
 __exportStar(require("./accounts/types"), exports);
 __exportStar(require("./addresses/pda"), exports);
 __exportStar(require("./admin"), exports);
 __exportStar(require("./clearingHouseUser"), exports);
 __exportStar(require("./clearingHouseUserConfig"), exports);
+__exportStar(require("./clearingHouseUserStats"), exports);
+__exportStar(require("./clearingHouseUserStatsConfig"), exports);
 __exportStar(require("./clearingHouse"), exports);
 __exportStar(require("./factory/oracleClient"), exports);
 __exportStar(require("./factory/bigNum"), exports);
@@ -52,7 +62,7 @@ __exportStar(require("./math/amm"), exports);
 __exportStar(require("./math/trade"), exports);
 __exportStar(require("./math/orders"), exports);
 __exportStar(require("./math/repeg"), exports);
-__exportStar(require("./orders"), exports);
+__exportStar(require("./math/margin"), exports);
 __exportStar(require("./orderParams"), exports);
 __exportStar(require("./slot/SlotSubscriber"), exports);
 __exportStar(require("./wallet"), exports);

package/lib/math/amm.d.ts

@@ -67,3 +67,4 @@ export declare function getSwapDirection(inputAssetType: AssetType, positionDire
 export declare function calculateTerminalPrice(market: MarketAccount): BN;
 export declare function calculateMaxBaseAssetAmountToTrade(amm: AMM, limit_price: BN, direction: PositionDirection, oraclePriceData?: OraclePriceData): [BN, PositionDirection];
 export declare function calculateQuoteAssetAmountSwapped(quoteAssetReserves: BN, pegMultiplier: BN, swapDirection: SwapDirection): BN;
+export declare function calculateMaxBaseAssetAmountFillable(amm: AMM, orderDirection: PositionDirection): BN;

package/lib/math/amm.js

@@ -1,6 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.calculateQuoteAssetAmountSwapped = exports.calculateMaxBaseAssetAmountToTrade = exports.calculateTerminalPrice = exports.getSwapDirection = exports.calculateSwapOutput = exports.calculateSpreadReserves = exports.calculateSpread = exports.calculateSpreadBN = exports.calculateMaxSpread = exports.calculateEffectiveLeverage = exports.calculateAmmReservesAfterSwap = exports.calculatePrice = exports.calculateBidAskPrice = exports.calculateUpdatedAMMSpreadReserves = exports.calculateUpdatedAMM = exports.calculateNewAmm = exports.calculateOptimalPegAndBudget = exports.calculatePegFromTargetPrice = void 0;
+exports.calculateMaxBaseAssetAmountFillable = exports.calculateQuoteAssetAmountSwapped = exports.calculateMaxBaseAssetAmountToTrade = exports.calculateTerminalPrice = exports.getSwapDirection = exports.calculateSwapOutput = exports.calculateSpreadReserves = exports.calculateSpread = exports.calculateSpreadBN = exports.calculateMaxSpread = exports.calculateEffectiveLeverage = exports.calculateAmmReservesAfterSwap = exports.calculatePrice = exports.calculateBidAskPrice = exports.calculateUpdatedAMMSpreadReserves = exports.calculateUpdatedAMM = exports.calculateNewAmm = exports.calculateOptimalPegAndBudget = exports.calculatePegFromTargetPrice = void 0;
 const anchor_1 = require("@project-serum/anchor");
 const numericConstants_1 = require("../constants/numericConstants");
 const types_1 = require("../types");
@@ -8,11 +8,11 @@ const assert_1 = require("../assert/assert");
 const __1 = require("..");
 const repeg_1 = require("./repeg");
 function calculatePegFromTargetPrice(targetPrice, baseAssetReserve, quoteAssetReserve) {
-    return targetPrice
+    return anchor_1.BN.max(targetPrice
         .mul(baseAssetReserve)
         .div(quoteAssetReserve)
         .add(numericConstants_1.PRICE_DIV_PEG.div(new anchor_1.BN(2)))
-        .div(numericConstants_1.PRICE_DIV_PEG);
+        .div(numericConstants_1.PRICE_DIV_PEG), numericConstants_1.ONE);
 }
 exports.calculatePegFromTargetPrice = calculatePegFromTargetPrice;
 function calculateOptimalPegAndBudget(amm, oraclePriceData) {
@@ -227,9 +227,8 @@ function calculateSpreadBN(baseSpread, lastOracleMarkSpreadPct, lastOracleConfPc
 }
 exports.calculateSpreadBN = calculateSpreadBN;
 function calculateSpread(amm, direction, oraclePriceData) {
-    let spread = amm.baseSpread / 2;
     if (amm.baseSpread == 0 || amm.curveUpdateIntensity == 0) {
-        return spread;
+        return amm.baseSpread / 2;
     }
     const markPrice = calculatePrice(amm.baseAssetReserve, amm.quoteAssetReserve, amm.pegMultiplier);
     const targetPrice = (oraclePriceData === null || oraclePriceData === void 0 ? void 0 : oraclePriceData.price) || markPrice;
@@ -241,40 +240,13 @@ function calculateSpread(amm, direction, oraclePriceData) {
     const confIntervalPct = confInterval
         .mul(numericConstants_1.BID_ASK_SPREAD_PRECISION)
         .div(markPrice);
-    // oracle retreat
-    if (((0, types_1.isVariant)(direction, 'long') && targetMarkSpreadPct.lt(numericConstants_1.ZERO)) ||
-        ((0, types_1.isVariant)(direction, 'short') && targetMarkSpreadPct.gt(numericConstants_1.ZERO))) {
-        spread = Math.max(spread, targetMarkSpreadPct.abs().toNumber() + confIntervalPct.abs().toNumber());
+    const [longSpread, shortSpread] = calculateSpreadBN(amm.baseSpread, targetMarkSpreadPct, confIntervalPct, amm.maxSpread, amm.quoteAssetReserve, amm.terminalQuoteAssetReserve, amm.pegMultiplier, amm.netBaseAssetAmount, markPrice, amm.totalFeeMinusDistributions);
+    let spread;
+    if ((0, types_1.isVariant)(direction, 'long')) {
+        spread = longSpread;
     }
-    // inventory skew
-    const MAX_INVENTORY_SKEW = 5;
-    if ((amm.netBaseAssetAmount.gt(numericConstants_1.ZERO) && (0, types_1.isVariant)(direction, 'long')) ||
-        (amm.netBaseAssetAmount.lt(numericConstants_1.ZERO) && (0, types_1.isVariant)(direction, 'short')) ||
-        amm.totalFeeMinusDistributions.eq(numericConstants_1.ZERO)) {
-        const netCostBasis = amm.quoteAssetAmountLong.sub(amm.quoteAssetAmountShort);
-        const netBaseAssetValue = amm.quoteAssetReserve
-            .sub(amm.terminalQuoteAssetReserve)
-            .mul(amm.pegMultiplier)
-            .div(numericConstants_1.AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO);
-        const localBaseAssetValue = amm.netBaseAssetAmount
-            .mul(markPrice)
-            .div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO.mul(numericConstants_1.MARK_PRICE_PRECISION));
-        const netPnl = netBaseAssetValue.sub(netCostBasis);
-        const localPnl = localBaseAssetValue.sub(netCostBasis);
-        let effectiveLeverage = MAX_INVENTORY_SKEW;
-        if (amm.totalFeeMinusDistributions.gt(numericConstants_1.ZERO)) {
-            effectiveLeverage =
-                localPnl.sub(netPnl).toNumber() /
-                    (amm.totalFeeMinusDistributions.toNumber() + 1);
-        }
-        let spreadScale = Math.min(MAX_INVENTORY_SKEW, 1 + effectiveLeverage);
-        const maxTargetSpread = numericConstants_1.BID_ASK_SPREAD_PRECISION.toNumber() / 50; // 2%
-        // cap the scale to attempt to only scale up to maxTargetSpread
-        // always let the oracle retreat methods go through 100%
-        if (spreadScale * spread > maxTargetSpread) {
-            spreadScale = Math.max(1.05, maxTargetSpread / spread);
-        }
-        spread *= spreadScale;
+    else {
+        spread = shortSpread;
     }
     return spread;
 }
@@ -395,3 +367,15 @@ function calculateQuoteAssetAmountSwapped(quoteAssetReserves, pegMultiplier, swa
     return quoteAssetAmount;
 }
 exports.calculateQuoteAssetAmountSwapped = calculateQuoteAssetAmountSwapped;
+function calculateMaxBaseAssetAmountFillable(amm, orderDirection) {
+    const maxFillSize = amm.baseAssetReserve.div(new anchor_1.BN(amm.maxBaseAssetAmountRatio));
+    let maxBaseAssetAmountOnSide;
+    if ((0, types_1.isVariant)(orderDirection, 'long')) {
+        maxBaseAssetAmountOnSide = anchor_1.BN.max(numericConstants_1.ZERO, amm.baseAssetReserve.sub(amm.minBaseAssetReserve));
+    }
+    else {
+        maxBaseAssetAmountOnSide = anchor_1.BN.max(numericConstants_1.ZERO, amm.maxBaseAssetReserve.sub(amm.baseAssetReserve));
+    }
+    return (0, __1.standardizeBaseAssetAmount)(anchor_1.BN.min(maxFillSize, maxBaseAssetAmountOnSide), amm.baseAssetAmountStepSize);
+}
+exports.calculateMaxBaseAssetAmountFillable = calculateMaxBaseAssetAmountFillable;

package/lib/math/auction.js

@@ -4,7 +4,10 @@ exports.getAuctionPrice = exports.isAuctionComplete = void 0;
 const types_1 = require("../types");
 const _1 = require("../.");
 function isAuctionComplete(order, slot) {
-    return new _1.BN(slot).sub(order.slot).gte(new _1.BN(order.auctionDuration));
+    if (order.auctionDuration === 0) {
+        return true;
+    }
+    return new _1.BN(slot).sub(order.slot).gt(new _1.BN(order.auctionDuration));
 }
 exports.isAuctionComplete = isAuctionComplete;
 function getAuctionPrice(order, slot) {

package/lib/math/bankBalance.d.ts

@@ -1,9 +1,15 @@
 /// <reference types="bn.js" />
-import { BankAccount, BankBalanceType } from '../types';
+import { BankAccount, BankBalanceType, MarginCategory } from '../types';
 import { BN } from '@project-serum/anchor';
 export declare function getBalance(tokenAmount: BN, bank: BankAccount, balanceType: BankBalanceType): BN;
 export declare function getTokenAmount(balanceAmount: BN, bank: BankAccount, balanceType: BankBalanceType): BN;
+export declare function calculateAssetWeight(balanceAmount: BN, bank: BankAccount, marginCategory: MarginCategory): BN;
+export declare function calculateLiabilityWeight(balanceAmount: BN, bank: BankAccount, marginCategory: MarginCategory): BN;
 export declare function calculateInterestAccumulated(bank: BankAccount, now: BN): {
     borrowInterest: BN;
     depositInterest: BN;
 };
+export declare function calculateWithdrawLimit(bank: BankAccount, now: BN): {
+    borrowLimit: BN;
+    withdrawLimit: BN;
+};

package/lib/math/bankBalance.js

@@ -1,9 +1,10 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.calculateInterestAccumulated = exports.getTokenAmount = exports.getBalance = void 0;
+exports.calculateWithdrawLimit = exports.calculateInterestAccumulated = exports.calculateLiabilityWeight = exports.calculateAssetWeight = exports.getTokenAmount = exports.getBalance = void 0;
 const types_1 = require("../types");
 const anchor_1 = require("@project-serum/anchor");
 const numericConstants_1 = require("../constants/numericConstants");
+const margin_1 = require("./margin");
 function getBalance(tokenAmount, bank, balanceType) {
     const precisionIncrease = numericConstants_1.TEN.pow(new anchor_1.BN(16 - bank.decimals));
     const cumulativeInterest = (0, types_1.isVariant)(balanceType, 'deposit')
@@ -24,6 +25,58 @@ function getTokenAmount(balanceAmount, bank, balanceType) {
     return balanceAmount.mul(cumulativeInterest).div(precisionDecrease);
 }
 exports.getTokenAmount = getTokenAmount;
+function calculateAssetWeight(balanceAmount, bank, marginCategory) {
+    const sizePrecision = numericConstants_1.TEN.pow(new anchor_1.BN(bank.decimals));
+    let sizeInAmmReservePrecision;
+    if (sizePrecision.gt(numericConstants_1.AMM_RESERVE_PRECISION)) {
+        sizeInAmmReservePrecision = balanceAmount.div(sizePrecision.div(numericConstants_1.AMM_RESERVE_PRECISION));
+    }
+    else {
+        sizeInAmmReservePrecision = balanceAmount
+            .mul(numericConstants_1.AMM_RESERVE_PRECISION)
+            .div(sizePrecision);
+    }
+    let assetWeight;
+    switch (marginCategory) {
+        case 'Initial':
+            assetWeight = (0, margin_1.calculateSizeDiscountAssetWeight)(sizeInAmmReservePrecision, bank.imfFactor, bank.initialAssetWeight);
+            break;
+        case 'Maintenance':
+            assetWeight = (0, margin_1.calculateSizeDiscountAssetWeight)(sizeInAmmReservePrecision, bank.imfFactor, bank.maintenanceAssetWeight);
+            break;
+        default:
+            assetWeight = bank.initialAssetWeight;
+            break;
+    }
+    return assetWeight;
+}
+exports.calculateAssetWeight = calculateAssetWeight;
+function calculateLiabilityWeight(balanceAmount, bank, marginCategory) {
+    const sizePrecision = numericConstants_1.TEN.pow(new anchor_1.BN(bank.decimals));
+    let sizeInAmmReservePrecision;
+    if (sizePrecision.gt(numericConstants_1.AMM_RESERVE_PRECISION)) {
+        sizeInAmmReservePrecision = balanceAmount.div(sizePrecision.div(numericConstants_1.AMM_RESERVE_PRECISION));
+    }
+    else {
+        sizeInAmmReservePrecision = balanceAmount
+            .mul(numericConstants_1.AMM_RESERVE_PRECISION)
+            .div(sizePrecision);
+    }
+    let assetWeight;
+    switch (marginCategory) {
+        case 'Initial':
+            assetWeight = (0, margin_1.calculateSizePremiumLiabilityWeight)(sizeInAmmReservePrecision, bank.imfFactor, bank.initialLiabilityWeight, numericConstants_1.BANK_WEIGHT_PRECISION);
+            break;
+        case 'Maintenance':
+            assetWeight = (0, margin_1.calculateSizePremiumLiabilityWeight)(sizeInAmmReservePrecision, bank.imfFactor, bank.maintenanceLiabilityWeight, numericConstants_1.BANK_WEIGHT_PRECISION);
+            break;
+        default:
+            assetWeight = bank.initialLiabilityWeight;
+            break;
+    }
+    return assetWeight;
+}
+exports.calculateLiabilityWeight = calculateLiabilityWeight;
 function calculateInterestAccumulated(bank, now) {
     const token_deposit_amount = getTokenAmount(bank.depositBalance, bank, types_1.BankBalanceType.DEPOSIT);
     const token_borrow_amount = getTokenAmount(bank.borrowBalance, bank, types_1.BankBalanceType.BORROW);
@@ -56,7 +109,7 @@ function calculateInterestAccumulated(bank, now) {
             .mul(borrowRateSlope)
             .div(numericConstants_1.BANK_UTILIZATION_PRECISION);
     }
-    const timeSinceLastUpdate = now.sub(bank.lastUpdated);
+    const timeSinceLastUpdate = now.sub(bank.lastInterestTs);
     const modifiedBorrowRate = interest_rate.mul(timeSinceLastUpdate);
     const modifiedDepositRate = modifiedBorrowRate
         .mul(utilization)
@@ -73,3 +126,25 @@ function calculateInterestAccumulated(bank, now) {
     return { borrowInterest, depositInterest };
 }
 exports.calculateInterestAccumulated = calculateInterestAccumulated;
+function calculateWithdrawLimit(bank, now) {
+    const bankDepositTokenAmount = getTokenAmount(bank.depositBalance, bank, types_1.BankBalanceType.DEPOSIT);
+    const bankBorrowTokenAmount = getTokenAmount(bank.borrowBalance, bank, types_1.BankBalanceType.BORROW);
+    const twentyFourHours = new anchor_1.BN(60 * 60 * 24);
+    const sinceLast = now.sub(bank.lastTwapTs);
+    const sinceStart = anchor_1.BN.max(numericConstants_1.ZERO, twentyFourHours.sub(sinceLast));
+    const borrowTokenTwapLive = bank.borrowTokenTwap
+        .mul(sinceStart)
+        .add(bankBorrowTokenAmount.mul(sinceLast))
+        .div(sinceLast.add(sinceLast));
+    const depositTokenTwapLive = bank.depositTokenTwap
+        .mul(sinceStart)
+        .add(bankDepositTokenAmount.mul(sinceLast))
+        .div(sinceLast.add(sinceLast));
+    const maxBorrowTokens = anchor_1.BN.min(anchor_1.BN.max(bankDepositTokenAmount.div(new anchor_1.BN(6)), borrowTokenTwapLive.add(borrowTokenTwapLive.div(new anchor_1.BN(5)))), bankDepositTokenAmount.sub(bankDepositTokenAmount.div(new anchor_1.BN(10)))); // between ~15-90% utilization with friction on twap
+    const minDepositTokens = depositTokenTwapLive.sub(anchor_1.BN.min(anchor_1.BN.max(depositTokenTwapLive.div(new anchor_1.BN(5)), bank.withdrawGuardThreshold), depositTokenTwapLive));
+    return {
+        borrowLimit: maxBorrowTokens.sub(bankBorrowTokenAmount),
+        withdrawLimit: bankDepositTokenAmount.sub(minDepositTokens),
+    };
+}
+exports.calculateWithdrawLimit = calculateWithdrawLimit;

package/lib/math/margin.d.ts

@@ -0,0 +1,11 @@
+/// <reference types="bn.js" />
+import { BN } from '@project-serum/anchor';
+import { OraclePriceData } from '../oracles/types';
+import { MarketAccount, UserPosition } from '..';
+export declare function calculateSizePremiumLiabilityWeight(size: BN, // AMM_RESERVE_PRECISION
+imfFactor: BN, liabilityWeight: BN, precision: BN): BN;
+export declare function calculateSizeDiscountAssetWeight(size: BN, // AMM_RESERVE_PRECISION
+imfFactor: BN, assetWeight: BN): BN;
+export declare function calculateOraclePriceForPerpMargin(marketPosition: UserPosition, market: MarketAccount, oraclePriceData: OraclePriceData): BN;
+export declare function calculateMarginBaseAssetValue(market: MarketAccount, marketPosition: UserPosition, oraclePriceData: OraclePriceData): BN;
+export declare function calculateWorstCaseBaseAssetAmount(marketPosition: UserPosition): BN;

package/lib/math/margin.js

@@ -0,0 +1,72 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.calculateWorstCaseBaseAssetAmount = exports.calculateMarginBaseAssetValue = exports.calculateOraclePriceForPerpMargin = exports.calculateSizeDiscountAssetWeight = exports.calculateSizePremiumLiabilityWeight = void 0;
+const utils_1 = require("./utils");
+const numericConstants_1 = require("../constants/numericConstants");
+const anchor_1 = require("@project-serum/anchor");
+function calculateSizePremiumLiabilityWeight(size, // AMM_RESERVE_PRECISION
+imfFactor, liabilityWeight, precision) {
+    if (imfFactor.eq(numericConstants_1.ZERO)) {
+        return liabilityWeight;
+    }
+    const sizeSqrt = (0, utils_1.squareRootBN)(size.div(new anchor_1.BN(1000)).add(new anchor_1.BN(1))); //1e13 -> 1e10 -> 1e5
+    const liabilityWeightNumerator = liabilityWeight.sub(liabilityWeight.div(anchor_1.BN.max(new anchor_1.BN(1), numericConstants_1.BANK_IMF_PRECISION.div(imfFactor))));
+    const sizePremiumLiabilityWeight = liabilityWeightNumerator.add(sizeSqrt // 1e5
+        .mul(imfFactor)
+        .div(new anchor_1.BN(100000).mul(numericConstants_1.BANK_IMF_PRECISION).div(precision)) // 1e5
+    );
+    const maxLiabilityWeight = anchor_1.BN.max(liabilityWeight, sizePremiumLiabilityWeight);
+    return maxLiabilityWeight;
+}
+exports.calculateSizePremiumLiabilityWeight = calculateSizePremiumLiabilityWeight;
+function calculateSizeDiscountAssetWeight(size, // AMM_RESERVE_PRECISION
+imfFactor, assetWeight) {
+    if (imfFactor.eq(numericConstants_1.ZERO)) {
+        return assetWeight;
+    }
+    const sizeSqrt = (0, utils_1.squareRootBN)(size.div(new anchor_1.BN(1000)).add(new anchor_1.BN(1))); //1e13 -> 1e10 -> 1e5
+    const imfNumerator = numericConstants_1.BANK_IMF_PRECISION.add(numericConstants_1.BANK_IMF_PRECISION.div(new anchor_1.BN(10)));
+    const sizeDiscountAssetWeight = imfNumerator.mul(numericConstants_1.BANK_WEIGHT_PRECISION).div(numericConstants_1.BANK_IMF_PRECISION.add(sizeSqrt // 1e5
+        .mul(imfFactor)
+        .div(new anchor_1.BN(100000)) // 1e5
+    ));
+    const minAssetWeight = anchor_1.BN.min(assetWeight, sizeDiscountAssetWeight);
+    return minAssetWeight;
+}
+exports.calculateSizeDiscountAssetWeight = calculateSizeDiscountAssetWeight;
+function calculateOraclePriceForPerpMargin(marketPosition, market, oraclePriceData) {
+    const oraclePriceOffset = anchor_1.BN.min(new anchor_1.BN(market.amm.maxSpread)
+        .mul(oraclePriceData.price)
+        .div(numericConstants_1.BID_ASK_SPREAD_PRECISION), oraclePriceData.confidence.add(new anchor_1.BN(market.amm.baseSpread)
+        .mul(oraclePriceData.price)
+        .div(numericConstants_1.BID_ASK_SPREAD_PRECISION)));
+    let marginPrice;
+    if (marketPosition.baseAssetAmount.gt(numericConstants_1.ZERO)) {
+        marginPrice = oraclePriceData.price.sub(oraclePriceOffset);
+    }
+    else {
+        marginPrice = oraclePriceData.price.add(oraclePriceOffset);
+    }
+    return marginPrice;
+}
+exports.calculateOraclePriceForPerpMargin = calculateOraclePriceForPerpMargin;
+function calculateMarginBaseAssetValue(market, marketPosition, oraclePriceData) {
+    const marginPrice = calculateOraclePriceForPerpMargin(marketPosition, market, oraclePriceData);
+    const baseAssetValue = marketPosition.baseAssetAmount
+        .abs()
+        .mul(marginPrice)
+        .div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO.mul(numericConstants_1.MARK_PRICE_PRECISION));
+    return baseAssetValue;
+}
+exports.calculateMarginBaseAssetValue = calculateMarginBaseAssetValue;
+function calculateWorstCaseBaseAssetAmount(marketPosition) {
+    const allBids = marketPosition.baseAssetAmount.add(marketPosition.openBids);
+    const allAsks = marketPosition.baseAssetAmount.add(marketPosition.openAsks);
+    if (allBids.abs().gt(allAsks.abs())) {
+        return allBids;
+    }
+    else {
+        return allAsks;
+    }
+}
+exports.calculateWorstCaseBaseAssetAmount = calculateWorstCaseBaseAssetAmount;

package/lib/math/market.d.ts

@@ -1,6 +1,6 @@
 /// <reference types="bn.js" />
 import { BN } from '@project-serum/anchor';
-import { MarketAccount, PositionDirection } from '../types';
+import { MarketAccount, PositionDirection, MarginCategory, BankAccount } from '../types';
 import { OraclePriceData } from '../oracles/types';
 /**
  * Calculates market mark price
@@ -26,3 +26,6 @@ export declare function calculateAskPrice(market: MarketAccount, oraclePriceData
 export declare function calculateNewMarketAfterTrade(baseAssetAmount: BN, direction: PositionDirection, market: MarketAccount): MarketAccount;
 export declare function calculateMarkOracleSpread(market: MarketAccount, oraclePriceData: OraclePriceData): BN;
 export declare function calculateOracleSpread(price: BN, oraclePriceData: OraclePriceData): BN;
+export declare function calculateMarketMarginRatio(market: MarketAccount, size: BN, marginCategory: MarginCategory): number;
+export declare function calculateUnrealizedAssetWeight(market: MarketAccount, unrealizedPnl: BN, marginCategory: MarginCategory): BN;
+export declare function calculateMarketAvailablePNL(market: MarketAccount, bank: BankAccount): BN;

package/lib/math/market.js

@@ -1,8 +1,12 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.calculateOracleSpread = exports.calculateMarkOracleSpread = exports.calculateNewMarketAfterTrade = exports.calculateAskPrice = exports.calculateBidPrice = exports.calculateMarkPrice = void 0;
+exports.calculateMarketAvailablePNL = exports.calculateUnrealizedAssetWeight = exports.calculateMarketMarginRatio = exports.calculateOracleSpread = exports.calculateMarkOracleSpread = exports.calculateNewMarketAfterTrade = exports.calculateAskPrice = exports.calculateBidPrice = exports.calculateMarkPrice = void 0;
+const anchor_1 = require("@project-serum/anchor");
 const types_1 = require("../types");
 const amm_1 = require("./amm");
+const margin_1 = require("./margin");
+const numericConstants_1 = require("../constants/numericConstants");
+const bankBalance_1 = require("./bankBalance");
 /**
  * Calculates market mark price
  *
@@ -55,3 +59,33 @@ function calculateOracleSpread(price, oraclePriceData) {
     return price.sub(oraclePriceData.price);
 }
 exports.calculateOracleSpread = calculateOracleSpread;
+function calculateMarketMarginRatio(market, size, marginCategory) {
+    let marginRatio;
+    switch (marginCategory) {
+        case 'Initial':
+            marginRatio = (0, margin_1.calculateSizePremiumLiabilityWeight)(size, market.imfFactor, new anchor_1.BN(market.marginRatioInitial), numericConstants_1.MARGIN_PRECISION).toNumber();
+            break;
+        case 'Maintenance':
+            marginRatio = market.marginRatioMaintenance;
+            break;
+    }
+    return marginRatio;
+}
+exports.calculateMarketMarginRatio = calculateMarketMarginRatio;
+function calculateUnrealizedAssetWeight(market, unrealizedPnl, marginCategory) {
+    let assetWeight;
+    switch (marginCategory) {
+        case 'Initial':
+            assetWeight = (0, margin_1.calculateSizeDiscountAssetWeight)(unrealizedPnl, market.unrealizedImfFactor, new anchor_1.BN(market.unrealizedInitialAssetWeight));
+            break;
+        case 'Maintenance':
+            assetWeight = new anchor_1.BN(market.unrealizedMaintenanceAssetWeight);
+            break;
+    }
+    return assetWeight;
+}
+exports.calculateUnrealizedAssetWeight = calculateUnrealizedAssetWeight;
+function calculateMarketAvailablePNL(market, bank) {
+    return (0, bankBalance_1.getTokenAmount)(market.pnlPool.balance, bank, types_1.BankBalanceType.DEPOSIT);
+}
+exports.calculateMarketAvailablePNL = calculateMarketAvailablePNL;

package/lib/math/oracles.d.ts

@@ -1,3 +1,6 @@
+/// <reference types="bn.js" />
 import { AMM, OracleGuardRails } from '../types';
 import { OraclePriceData } from '../oracles/types';
+import { BN } from '../index';
 export declare function isOracleValid(amm: AMM, oraclePriceData: OraclePriceData, oracleGuardRails: OracleGuardRails, slot: number): boolean;
+export declare function isOracleTooDivergent(amm: AMM, oraclePriceData: OraclePriceData, oracleGuardRails: OracleGuardRails, now: BN): boolean;